Filtration shrinkage, strict local martingales and the Föllmer measure

DOI10.1214/13-AAP961zbMath1304.60050arXiv1111.7218MaRDI QIDQ2511563

Martin Larsson

Publication date: 6 August 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.7218

zbMATH Keywords

local martingaleoptional projectionFöllmer measurefiltration shrinkage

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Sample path properties (60G17) Continuity and singularity of induced measures (60G30)

Related Items (8)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Informational Efficiency under Short Sale Constraints ⋮ Optional projection under equivalent local martingale measures ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ Projections of scaled Bessel processs ⋮ Market Models with Optimal Arbitrage

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